Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 6 | 7 | 6 |
| Score | 2.04 | 2.3 | 1.19 |
| Market Cap (Millions USD) | 40239.45 | 39385.96 | 37745.63 |
| Predicted Beta | 1.18 | 1.18 | 1.16 |
| Idiosyncratic Volatility | 1.84 | 2.02 | 2.06 |
Annualized return and volatility
| IWD | |
|---|---|
| Annualized Return | 0.0701 |
| Annualized Std Dev | 0.1861 |
| Annualized Sharpe (Rf=0%) | 0.3765 |
Row
Daily Return Statistics
| IWD | |
|---|---|
| Observations | 5010.0000 |
| NAs | 104.0000 |
| Minimum | -0.0917 |
| Quartile 1 | -0.0042 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1283 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0117 |
| Skewness | 0.0106 |
| Kurtosis | 10.8112 |
Downside Risk
| IWD | |
|---|---|
| Semi Deviation | 0.0085 |
| Gain Deviation | 0.0085 |
| Loss Deviation | 0.0093 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0083 |
| Downside Deviation (0%) | 0.0083 |
| Maximum Drawdown | 0.6010 |
| Historical VaR (95%) | -0.0177 |
| Historical ES (95%) | -0.0285 |
| Modified VaR (95%) | -0.0164 |
| Modified ES (95%) | -0.0190 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-02-01 | -0.6010 | 1452 | 455 | 997 |
| 2001-05-22 | 2002-10-09 | 2003-12-29 | -0.3408 | 666 | 352 | 314 |
| 2018-01-29 | 2018-12-24 | 2019-04-30 | -0.1834 | 320 | 233 | 87 |
| 2015-05-22 | 2016-02-11 | 2016-06-08 | -0.1616 | 268 | 186 | 82 |
| 2001-02-13 | 2001-03-22 | 2001-05-16 | -0.1219 | 66 | 27 | 39 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IWD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | 0.9 | 0.0 | 0.8 | -0.2 | 0.0 | -0.9 | -0.4 | 0 | 0.3 |
| 2001 | 0.6 | -0.7 | 0.0 | 0.8 | 0.2 | 0.0 | 0.3 | 0.0 | 0.2 | 1.4 | 0.0 | 0 | 2.8 |
| 2002 | -0.7 | 1.8 | -0.6 | 1.0 | 0.0 | -1.4 | -2.7 | 0.0 | 4.0 | 1.1 | 0.0 | 0 | 2.3 |
| 2003 | 0.0 | 0.0 | 1.9 | 0.0 | 0.0 | 1.2 | -1.0 | 0.0 | 2.1 | 0.0 | 1.3 | 0 | 5.7 |
| 2004 | 0.0 | 1.0 | 0.5 | 0.0 | 0.2 | -1.2 | 0.0 | 0.2 | 1.4 | 0.2 | 1.3 | 0 | 3.6 |
| 2005 | 0.9 | 0.2 | -0.1 | 0.0 | 1.1 | 0.7 | -0.1 | 0.6 | 0.0 | 0.4 | 1.0 | 0 | 4.6 |
| 2006 | 0.6 | 0.7 | 0.0 | -0.5 | 1.0 | 0.0 | -0.1 | 0.7 | 0.0 | -0.5 | 0.0 | 0 | 1.9 |
| 2007 | 0.7 | -0.2 | 0.0 | 0.2 | 0.5 | 0.0 | 0.9 | 0.0 | 1.4 | -3.1 | 0.0 | 0 | 0.3 |
| 2008 | 1.6 | 0.0 | 3.2 | 1.6 | 0.0 | 0.3 | -0.2 | 0.0 | 0.0 | 0.0 | -9.2 | 0 | -3.1 |
| 2009 | 0.0 | 0.0 | 1.7 | 0.6 | 1.7 | 0.3 | 0.0 | -2.7 | -2.8 | 0.0 | 1.2 | 0 | 0.0 |
| 2010 | 1.7 | 1.1 | 0.9 | 0.0 | -2.2 | -0.4 | 0.0 | 3.0 | 0.6 | -0.1 | 2.1 | 0 | 7.0 |
| 2011 | 1.7 | -1.8 | 0.5 | 0.0 | -2.4 | 1.5 | -0.2 | -1.3 | 0.0 | -3.1 | -0.3 | 0 | -5.4 |
| 2012 | 1.1 | 1.0 | 0.0 | 0.9 | -2.5 | 0.0 | -0.1 | 0.0 | 0.2 | 1.2 | 0.0 | 0 | 1.7 |
| 2013 | 0.9 | 0.3 | -0.3 | -1.1 | 0.0 | 0.5 | 1.2 | 0.0 | 0.7 | 0.3 | 0.0 | 0 | 2.5 |
| 2014 | 0.0 | 0.0 | 0.4 | 0.0 | 0.0 | 0.6 | -0.2 | 0.0 | -1.2 | 0.0 | -0.5 | 0 | -1.0 |
| 2015 | 0.0 | 0.0 | -0.4 | 0.9 | 0.1 | 0.6 | 0.0 | -3.1 | 0.1 | 0.0 | 1.0 | 0 | -0.8 |
| 2016 | -0.3 | 2.3 | 0.5 | 0.0 | 0.2 | 0.1 | -0.5 | -0.1 | 0.0 | -0.7 | 0.2 | 0 | 1.7 |
| 2017 | -0.3 | 1.5 | 0.0 | 0.1 | 0.9 | 0.0 | 0.2 | 0.4 | 0.0 | 0.3 | 0.1 | 0 | 3.3 |
| 2018 | 0.2 | -1.1 | 0.0 | -0.2 | 0.8 | 0.0 | -0.5 | 0.0 | 0.3 | 0.8 | 0.0 | 0 | 0.3 |
| 2019 | 0.3 | 0.6 | 1.1 | -0.8 | 0.0 | 0.8 | -1.2 | 0.0 | -1.5 | 1.1 | 0.0 | 0 | 0.5 |
Row
Rolling Performance Chart
Snail Trail Chart
